SEC Q3'18 Private Fund Statistics
The SEC released its latest quarterly "Private Funds Statistics" report recently, which summarizes Form PF reporting and includes some data on "Liquidity Funds." The publication shows that overall Liquidity fund assets inched higher in the latest reported quarter to $617 billion. A previous press release, entitled, "SEC Staff Supplements Quarterly Private Funds Statistics" tells us, "The U.S. Securities and Exchange Commission staff ... published a suite of new data and analyses of private fund statistics and trends. The Private Funds Statistics ... offers investors and other market participants valuable insights by aggregating data reported by private fund advisers on Form ADV and Form PF. New analyses include ... characteristics of private liquidity funds." The SEC's "Introduction" explains, "This report provides a summary of recent private fund industry statistics and trends, reflecting data collected through Form PF and Form ADV filings. Form PF information provided in this report is aggregated, rounded, and/or masked to avoid potential disclosure of proprietary information of individual Form PF filers. This report reflects data from Third Calendar Quarter 2016 through Third Calendar Quarter 2018 as reported by Form PF filers." (Note: Crane Data believes many of the liquidity funds are securities lending reinvestment pools and other short-term investment funds; these are not the new breed of "3c-7" private liquidity funds being marketed by Federated, JPMorgan and a few others.) The tables in the SEC's "Private Funds Statistics: Third Calendar Quarter 2018," the most recent data available, now show 113 Liquidity Funds (including "Section 3 Liquidity Funds," which are Liquidity Funds from advisers with over $1 billion total in cash), same as the last quarter and down 2 from a year ago. (There are 68 Liquidity Funds and 45 Section 3 Liquidity Funds.) The SEC receives Form PF reports from 38 Liquidity Fund advisers and 22 Section 3 Liquidity Fund advisers, or 60 advisers in total, the same as last quarter (down 1 from a year ago). The SEC's table on "Aggregate Private Fund Net Asset Value" shows total Liquidity Fund assets at $617 billion, up $3 billion from Q2'18 and up $59 billion from a year ago (Q3'17). Of this total, $311 billion is in normal Liquidity Funds while $306 billion is in Section 3 (large manager) Liquidity Funds. The SEC's table on "Aggregate Private Fund Gross Asset Value" shows total Liquidity Fund assets at $623 billion, up $5 billion from Q2'18 and up $62 billion from a year ago (Q3'17). Of this total, $314 billion is in normal Liquidity Funds while $309 billion is in Section 3 (large manager) Liquidity Funds. A table on "Beneficial Ownership for Section 3 Liquidity Funds" shows $105 billion is held by Private Funds (34.4%), $57 billion is held by Other (18.7%), $23 billion is held by SEC-Registered Investment Companies (7.6%), $17 billion is held by Banking/Thrift Inst. (5.4%), $12 billion is held by Insurance Companies (3.8%), $4 billion is held by Pension Plans (1.2%), and $4 billion is held by Non-U.S. Individuals (1.1%). The tables also show that 78.8% of Section 3 Liquidity Funds have a liquidation period of one day, $291 billion of these funds may suspend redemptions, and $255 billion of these funds may have gates (out of a total of $306 billion). The Portfolio Characteristics show that these funds are very close to money market funds. WAMs average a short 33.4 days (38.8% days when weighted by assets), WALs are a short 60.0 days (66.6 days when asset-weighted), and 7-Day Gross Yields average 1.90% (2.03% asset-weighted). Daily Liquid Assets average about 47.5% (48.9% asset-weighted) while Weekly Liquid Assets average about 62.8% (57.8% asset-weighted). Overall, these portfolios appear shorter with a much heavier Treasury exposure than money market funds in general; more than half of them (46.7%) are fully compliant with Rule 2a-7. (See also our March 15, 2017 News, "CAG's Pan on Pros and Cons of Private Liquidity Funds, SEC Paper, Stats.")
